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<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_tree_lattice.html">TreeLattice</a></li> </ul>
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<a href="#pub-methods">Public Member Functions</a> |
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<div class="title">TreeLattice< Impl > Class Template Reference<div class="ingroups"><a class="el" href="group__lattices.html">Lattice methods</a></div></div> </div>
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<p>Tree-based lattice-method base class.
<a href="class_quant_lib_1_1_tree_lattice.html#details">More...</a></p>
<p><code>#include <ql/methods/lattices/lattice.hpp></code></p>
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<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for TreeLattice< Impl >:</div>
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<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr class="memitem:af64044578078d5872bb088b0a6892a6f"><td class="memItemLeft" align="right" valign="top"><a id="af64044578078d5872bb088b0a6892a6f"></a>
 </td><td class="memItemRight" valign="bottom"><b>TreeLattice</b> (const <a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> &timeGrid, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> n)</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_lattice"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_lattice')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_lattice.html">Lattice</a></td></tr>
<tr class="memitem:aa11e1abb76c37d91d43b0e0fd132f9c4 inherit pub_methods_class_quant_lib_1_1_lattice"><td class="memItemLeft" align="right" valign="top"><a id="aa11e1abb76c37d91d43b0e0fd132f9c4"></a>
 </td><td class="memItemRight" valign="bottom"><b>Lattice</b> (const <a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> &timeGrid)</td></tr>
<tr class="separator:aa11e1abb76c37d91d43b0e0fd132f9c4 inherit pub_methods_class_quant_lib_1_1_lattice"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ab1b4f3ee63c7fc18845e10236dd5df8d inherit pub_methods_class_quant_lib_1_1_lattice"><td class="memItemLeft" align="right" valign="top"><a id="ab1b4f3ee63c7fc18845e10236dd5df8d"></a>
const <a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> & </td><td class="memItemRight" valign="bottom"><b>timeGrid</b> () const</td></tr>
<tr class="separator:ab1b4f3ee63c7fc18845e10236dd5df8d inherit pub_methods_class_quant_lib_1_1_lattice"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a85dadec35b0b9775e93b8c0d826447ba inherit pub_methods_class_quant_lib_1_1_lattice"><td class="memItemLeft" align="right" valign="top"><a id="a85dadec35b0b9775e93b8c0d826447ba"></a>
virtual <a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a>< <a class="el" href="class_quant_lib_1_1_array.html">Array</a> > </td><td class="memItemRight" valign="bottom"><b>grid</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a>) const =0</td></tr>
<tr class="separator:a85dadec35b0b9775e93b8c0d826447ba inherit pub_methods_class_quant_lib_1_1_lattice"><td class="memSeparator" colspan="2"> </td></tr>
</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="member-group"></a>
Lattice interface</h2></td></tr>
<tr class="memitem:a3c97e0e3435a61b1832d2977130765f3"><td class="memItemLeft" align="right" valign="top"><a id="a3c97e0e3435a61b1832d2977130765f3"></a>
std::vector< <a class="el" href="class_quant_lib_1_1_array.html">Array</a> > </td><td class="memItemRight" valign="bottom"><b>statePrices_</b></td></tr>
<tr class="separator:a3c97e0e3435a61b1832d2977130765f3"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aadecec230a2b57534911ed193bffdb5b"><td class="memItemLeft" align="right" valign="top"><a id="aadecec230a2b57534911ed193bffdb5b"></a>
void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_tree_lattice.html#aadecec230a2b57534911ed193bffdb5b">initialize</a> (<a class="el" href="class_quant_lib_1_1_discretized_asset.html">DiscretizedAsset</a> &, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t) const</td></tr>
<tr class="memdesc:aadecec230a2b57534911ed193bffdb5b"><td class="mdescLeft"> </td><td class="mdescRight">initialize an asset at the given time. <br /></td></tr>
<tr class="separator:aadecec230a2b57534911ed193bffdb5b"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a76086cb813dfb54bedee9ccac8946988"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_tree_lattice.html#a76086cb813dfb54bedee9ccac8946988">rollback</a> (<a class="el" href="class_quant_lib_1_1_discretized_asset.html">DiscretizedAsset</a> &, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> to) const</td></tr>
<tr class="separator:a76086cb813dfb54bedee9ccac8946988"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ab295d7d0092f6d1fc6a43b74f21afd2c"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_tree_lattice.html#ab295d7d0092f6d1fc6a43b74f21afd2c">partialRollback</a> (<a class="el" href="class_quant_lib_1_1_discretized_asset.html">DiscretizedAsset</a> &, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> to) const</td></tr>
<tr class="separator:ab295d7d0092f6d1fc6a43b74f21afd2c"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ad3c902f7e755ead81aa81e843571d7f2"><td class="memItemLeft" align="right" valign="top"><a id="ad3c902f7e755ead81aa81e843571d7f2"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_tree_lattice.html#ad3c902f7e755ead81aa81e843571d7f2">presentValue</a> (<a class="el" href="class_quant_lib_1_1_discretized_asset.html">DiscretizedAsset</a> &) const</td></tr>
<tr class="memdesc:ad3c902f7e755ead81aa81e843571d7f2"><td class="mdescLeft"> </td><td class="mdescRight">Computes the present value of an asset using Arrow-Debrew prices. <br /></td></tr>
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<tr class="memitem:aa459bdf933b1d71b3647d1be3ea625c1"><td class="memItemLeft" align="right" valign="top"><a id="aa459bdf933b1d71b3647d1be3ea625c1"></a>
const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> & </td><td class="memItemRight" valign="bottom"><b>statePrices</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> i) const</td></tr>
<tr class="separator:aa459bdf933b1d71b3647d1be3ea625c1"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:abdfae8e430bc8e203480d0b2b778ff5b"><td class="memItemLeft" align="right" valign="top"><a id="abdfae8e430bc8e203480d0b2b778ff5b"></a>
void </td><td class="memItemRight" valign="bottom"><b>stepback</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> i, const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &values, <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &newValues) const</td></tr>
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<tr class="memitem:ab808d850cb00707871408290c132bf24"><td class="memItemLeft" align="right" valign="top"><a id="ab808d850cb00707871408290c132bf24"></a>
void </td><td class="memItemRight" valign="bottom"><b>computeStatePrices</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> until) const</td></tr>
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Additional Inherited Members</h2></td></tr>
<tr class="inherit_header pro_methods_class_quant_lib_1_1_curiously_recurring_template"><td colspan="2" onclick="javascript:toggleInherit('pro_methods_class_quant_lib_1_1_curiously_recurring_template')"><img src="closed.png" alt="-"/> Protected Member Functions inherited from <a class="el" href="class_quant_lib_1_1_curiously_recurring_template.html">CuriouslyRecurringTemplate< Impl ></a></td></tr>
<tr class="memitem:af644e65b081eafdcfdf59fed1e0d50ff inherit pro_methods_class_quant_lib_1_1_curiously_recurring_template"><td class="memItemLeft" align="right" valign="top"><a id="af644e65b081eafdcfdf59fed1e0d50ff"></a>
Impl & </td><td class="memItemRight" valign="bottom"><b>impl</b> ()</td></tr>
<tr class="separator:af644e65b081eafdcfdf59fed1e0d50ff inherit pro_methods_class_quant_lib_1_1_curiously_recurring_template"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a347ce8909f609d980047e6d1a8c6c444 inherit pro_methods_class_quant_lib_1_1_curiously_recurring_template"><td class="memItemLeft" align="right" valign="top"><a id="a347ce8909f609d980047e6d1a8c6c444"></a>
const Impl & </td><td class="memItemRight" valign="bottom"><b>impl</b> () const</td></tr>
<tr class="separator:a347ce8909f609d980047e6d1a8c6c444 inherit pro_methods_class_quant_lib_1_1_curiously_recurring_template"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pro_attribs_class_quant_lib_1_1_lattice"><td colspan="2" onclick="javascript:toggleInherit('pro_attribs_class_quant_lib_1_1_lattice')"><img src="closed.png" alt="-"/> Protected Attributes inherited from <a class="el" href="class_quant_lib_1_1_lattice.html">Lattice</a></td></tr>
<tr class="memitem:ab90fa1dcf13b5f32d2e434defca13d21 inherit pro_attribs_class_quant_lib_1_1_lattice"><td class="memItemLeft" align="right" valign="top"><a id="ab90fa1dcf13b5f32d2e434defca13d21"></a>
<a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> </td><td class="memItemRight" valign="bottom"><b>t_</b></td></tr>
<tr class="separator:ab90fa1dcf13b5f32d2e434defca13d21 inherit pro_attribs_class_quant_lib_1_1_lattice"><td class="memSeparator" colspan="2"> </td></tr>
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<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><h3>template<class Impl><br />
class QuantLib::TreeLattice< Impl ></h3>
<p>Tree-based lattice-method base class. </p>
<p>This class defines a lattice method that is able to rollback (with discount) a discretized asset object. It will be based on one or more trees.</p>
<p>Derived classes must implement the following interface: </p><div class="fragment"><div class="line"><span class="keyword">public</span>:</div>
<div class="line"> <a class="code" href="group__types.html#ga642a971a0bcbbd2fb26c35e1a06e5761" title="discount factor between dates">DiscountFactor</a> discount(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i, <a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> index) <span class="keyword">const</span>;</div>
<div class="line"> <a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> descendant(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i, <a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> index, <a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> branch) <span class="keyword">const</span>;</div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> probability(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i, <a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> index, <a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> branch) <span class="keyword">const</span>;</div>
</div><!-- fragment --><p> and may implement the following: </p><div class="fragment"><div class="line"><span class="keyword">public</span>:</div>
<div class="line"> <span class="keywordtype">void</span> stepback(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i,</div>
<div class="line"> <span class="keyword">const</span> Array& values,</div>
<div class="line"> Array& newValues) <span class="keyword">const</span>;</div>
</div><!-- fragment --> </div><h2 class="groupheader">Member Function Documentation</h2>
<a id="a76086cb813dfb54bedee9ccac8946988"></a>
<h2 class="memtitle"><span class="permalink"><a href="#a76086cb813dfb54bedee9ccac8946988">◆ </a></span>rollback()</h2>
<div class="memitem">
<div class="memproto">
<table class="mlabels">
<tr>
<td class="mlabels-left">
<table class="memname">
<tr>
<td class="memname">void rollback </td>
<td>(</td>
<td class="paramtype"><a class="el" href="class_quant_lib_1_1_discretized_asset.html">DiscretizedAsset</a> & </td>
<td class="paramname">, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td>
<td class="paramname"><em>to</em> </td>
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<td></td>
<td>)</td>
<td></td><td> const</td>
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<span class="mlabels"><span class="mlabel">virtual</span></span> </td>
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<p>Roll back an asset until the given time, performing any needed adjustment. </p>
<p>Implements <a class="el" href="class_quant_lib_1_1_lattice.html#ac284e0bd252bb0977c06d28bdefdfc06">Lattice</a>.</p>
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<h2 class="memtitle"><span class="permalink"><a href="#ab295d7d0092f6d1fc6a43b74f21afd2c">◆ </a></span>partialRollback()</h2>
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<td class="memname">void partialRollback </td>
<td>(</td>
<td class="paramtype"><a class="el" href="class_quant_lib_1_1_discretized_asset.html">DiscretizedAsset</a> & </td>
<td class="paramname">, </td>
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<td class="paramtype"><a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td>
<td class="paramname"><em>to</em> </td>
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<p>Roll back an asset until the given time, but do not perform the final adjustment.</p>
<dl class="caveats"><dt><b><a class="el" href="caveats.html#_caveats000116">Warning:</a></b></dt><dd>In version 0.3.7 and earlier, this method was called rollAlmostBack method and performed pre-adjustment. This is no longer true; when migrating your code, you'll have to replace calls such as: </dd></dl>
<div class="fragment"><div class="line">method->rollAlmostBack(asset,t);</div>
</div><!-- fragment --><p> with the two statements: </p><div class="fragment"><div class="line">method->partialRollback(asset,t);</div>
<div class="line">asset->preAdjustValues();</div>
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<p>Implements <a class="el" href="class_quant_lib_1_1_lattice.html#a014c376879c97eb1268c460dfeeebb4d">Lattice</a>.</p>
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